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arXiv · 2204.10818

Convergence of the Riemannian Langevin Algorithm

Khashayar Gatmiry·Santosh S. Vempala
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Abstract

We study the Riemannian Langevin Algorithm for the problem of sampling from a distribution with density $\nu$ with respect to the natural measure on a manifold with metric $g$. We assume that the target density satisfies a log-Sobolev inequality with respect to the metric and prove that the manifold generalization of the Unadjusted Langevin Algorithm converges rapidly to $\nu$ for Hessian manifolds. This allows us to reduce the problem of sampling non-smooth (constrained) densities in ${\bf R}^n$ to sampling smooth densities over appropriate manifolds, while needing access only to the gradient of the log-density, and this, in turn, to sampling from the natural Brownian motion on the manifold. Our main analytic tools are (1) an extension of self-concordance to manifolds, and (2) a stochastic approach to bounding smoothness on manifolds. A special case of our approach is sampling isoperimetric densities restricted to polytopes by using the metric defined by the logarithmic barrier.

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Khashayar Gatmiry, Santosh S. Vempala. 2022-04-22. Convergence of the Riemannian Langevin Algorithm. https://arxiv.org/abs/2204.10818

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